Search Results - subject:"conditional Value at Risk"

Computational aspects of minimizing conditional value-at-risk

Künzi-Bay, Alexandra; Mayer, János - In: Computational Management Science 3 (2006) 1, pp. 3-27

We consider optimization problems for minimizing conditional value-at-risk (CVaR) from a computational point of view … algorithm for minimizing conditional value-at-risk. We implemented the algorithm as the solver CVaRMin. For illustrating the … consider portfolio optimization problems with 5 random variables. Such problems involving conditional value at risk play an …

Persistent link: https://www.econbiz.de/10005147280

Time Consistent Dynamic Risk Measures

Boda, Kang; Filar, Jerzy - In: Computational Statistics 63 (2006) 1, pp. 169-186

programming and demonstrate – via an example – that the conditional value-at-risk (CVaR) need not be time-consistent in a multi …

Persistent link: https://www.econbiz.de/10010759254

Die Quantifizierung und Prognose des Marktrisikos

Dockner, Engelbert J. - In: Wege zur Ganzheit : Festschrift für J. Hanns Pichler …, (pp. 799-809). 1996

Persistent link: https://www.econbiz.de/10001296812

Risikomessung mit Shortfall-Maßen : das Programm MAMBA - Metzler Asset Management Benchmark Analyser

Korn, Olaf; Schröder, Michael; Szczesny, Andrea; … - 1996

Persistent link: https://www.econbiz.de/10000663809

Measuring value-at-risk for mortgage backed securities

Jakobsen, Svend - 1995

Persistent link: https://www.econbiz.de/10000922088

Market risk management : the concept of value-at-risk

Meegan, Conor - 1995

Persistent link: https://www.econbiz.de/10000911572

Techniques for verifying the accuracy of risk measurement models

Kupiec, Paul H. - In: The journal of derivatives : the official publication … 3 (1995) 2, pp. 73-84

Persistent link: https://www.econbiz.de/10001223182

Market risk management : the concept of value-at-risk

Meegan, Conor - 1995

Persistent link: https://www.econbiz.de/10000549839

DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION

CHEKHLOV, ALEXEI; URYASEV, STANISLAV; ZABARANKIN, MICHAEL - In: International Journal of Theoretical and Applied … 08 (2005) 01, pp. 13-58

family of risk functionals is similar to Conditional Value-at-Risk (CVaR), which is also called Mean Shortfall, Mean Excess …

Persistent link: https://www.econbiz.de/10005050493

Building a Better Fund of Hedge Funds: A Fractal and Alpha - Stable Distribution Approach

Olszewski, Yan - EconWPA - 2005

Markowitz’s (1952) portfolio theory has permeated financial institutions over the past 50 years. Assuming that returns are normally distributed, Markowitz suggests that portfolio optimization should be performed in a mean-variance framework. With the emergence of hedge funds and their...

Persistent link: https://www.econbiz.de/10005134811